01800cam a22002537 4500001000700000003000500007005001700012008004100029100001700070245007800087260006600165490004200231500001800273520076600291530006101057538007201118538003601190690011201226700001401338710004201352830007701394856003801471856003701509w12843NBER20170818012759.0170818s2007 mau||||fs|||| 000 0 eng d1 aAng, Andrew.10aRisk, Return and Dividendsh[electronic resource] /cAndrew Ang, Jun Liu. aCambridge, Mass.bNational Bureau of Economic Researchc2007.1 aNBER working paper seriesvno. w12843 aJanuary 2007.3 aWe characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines the dynamics of the expected return and the price-dividend ratio. By parameterizing one or more of expected returns, volatility, or prices, common empirical specifications place strong, and sometimes counter-factual, restrictions on the dynamics of the other variables. Our relations are useful for understanding the risk-return trade-off, as well as characterizing the predictability of stock returns. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aG12 - Asset Pricing • Trading Volume • Bond Interest Rates2Journal of Economic Literature class.1 aLiu, Jun.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w12843.4 uhttp://www.nber.org/papers/w1284341uhttp://dx.doi.org/10.3386/w12843